Provable Accelerated Bayesian Optimization with Knowledge Transfer
This work addresses the challenge of efficient hyperparameter tuning in machine learning by providing a provably accelerated method with knowledge transfer, which is incremental but offers theoretical guarantees.
The paper tackles the problem of accelerating Bayesian optimization on a target task by transferring knowledge from related source tasks, achieving a regret bound of ̃O(√T(T/N + γδ)) which can be significantly better than the standard ̃O(√Tγf) when tasks are similar.
We study how Bayesian optimization (BO) can be accelerated on a target task with historical knowledge transferred from related source tasks. Existing works on BO with knowledge transfer either do not have theoretical guarantees or achieve the same regret as BO in the non-transfer setting, $\tilde{\mathcal{O}}(\sqrt{T γ_f})$, where $T$ is the number of evaluations of the target function and $γ_f$ denotes its information gain. In this paper, we propose the DeltaBO algorithm, in which a novel uncertainty-quantification approach is built on the difference function $δ$ between the source and target functions, which are allowed to belong to different reproducing kernel Hilbert spaces (RKHSs). Under mild assumptions, we prove that the regret of DeltaBO is of order $\tilde{\mathcal{O}}(\sqrt{T (T/N + γ_δ)})$, where $N$ denotes the number of evaluations from source tasks and typically $N \gg T$. In many applications, source and target tasks are similar, which implies that $γ_δ$ can be much smaller than $γ_f$. Empirical studies on both real-world hyperparameter tuning tasks and synthetic functions show that DeltaBO outperforms other baseline methods and support our theoretical claims.